I've posted this in the general section as I think it's something everyone could be interested in and I couldn't decide whether it was more suited to the GPS or Camera sections!! :-)
Nokia have now released a program which tags your location using the GPS facility when taking a picture:
Nokia - Location Tagger
It sounds like it will be part of a furture firmware upgrade but in the meantime, it's a very small download and it works!
NB. You need to install Nokia Share Online 3 first.